MASIP: A Methodology for Assets Selection in Investment Portfolios
This paper proposes a Methodology for Assets Selection in Investment Portfolios (MASIP) focused on creating investment portfolios using heuristic algorithms based on the Markowitz and Sharpe models. MASIP selects and allocates financial assets by applying heuristic methods to accomplish three assign...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-03-01
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| Series: | Mathematical and Computational Applications |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2297-8747/30/2/34 |
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| Summary: | This paper proposes a Methodology for Assets Selection in Investment Portfolios (MASIP) focused on creating investment portfolios using heuristic algorithms based on the Markowitz and Sharpe models. MASIP selects and allocates financial assets by applying heuristic methods to accomplish three assignments: (a) Select the stock candidates in an initial portfolio; (b) Forecast the asset values for the short and medium term; and (c) Optimize the investment portfolio by using the Sharpe metric. Once MASIP creates the initial portfolio and forecasts its assets, an optimization process is started in which a set with the best weights determines the participation of each asset. Moreover, a rebalancing process is carried out to enhance the portfolio value. We show that the improvement achieved by MASIP can reach 147% above the SP500 benchmark. We use a dataset of SP500 to compare MASIP with state-of-the-art methods, obtaining superior performance and an outstanding Sharpe Ratio and returns compared to traditional investment approaches. The heuristic algorithms proved effective in asset selection and allocation, and the forecasting process and rebalancing contributed to further improved results. |
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| ISSN: | 1300-686X 2297-8747 |